Then, in the Page_Load, run the method and pass the gridview to it. This isn't everything you'll need to set, but it's a start.

EDIT: Added links to the respective MSDN pages.

Also, you can do it from the .aspx page with some CSS (which is probably what you'll want to do anyway).

Inside the gridview tags, use <PagerSettings /> and <PagerStyle />, and set the pagerstyle cssclass to .someclassname. The page numbers can be styled with .someclassname a, and the current page with .someclassname span. The border-radius attribute will be handy for this...